This paper considers the ability of the Power ARCH model introduced by Ding, Granger and Engle (1993) to capture the stylised features of volatility in 17 heavily traded bilateral exchange rates. This Power ARCH model nests a number of models from the ARCH family. The relative merits of these...

A recent addition to the ARCH family of econometric models was introduced by Ding, Granger and Engle (1993) wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH...

The use of conditionally heteroscedastic models to model time varying volatility has become commonplace in the empirical finance literature. Ding, Granger and Engle (1993) suggested a model which extends the ARCH class of models to analysing a wider class of power transformations than simply...